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Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
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Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
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Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon; Kim, Donggyu - In: Journal of econometrics 235 (2023) 2, pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
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Testing super-diagonal structure in high dimensional covariance matrices
He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
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Projected estimation for large-dimensional matrix factor models
Yu, Long; He, Yong; Kong, Xinbing; Zhang, Xinsheng - In: Journal of econometrics 229 (2022) 1, pp. 201-217
Persistent link: https://www.econbiz.de/10013441854
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
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Nonparametric estimation of large covariance matrices with conditional sparsity
Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10012619958
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Robust covariance estimation for approximate factor models
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao - In: Journal of econometrics 208 (2019) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
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Canonical correlation-based model selection for the multilevel factors
Choi, In; Lin, Rui; Shin, Yongcheol - In: Journal of econometrics 233 (2023) 1, pp. 22-44
Persistent link: https://www.econbiz.de/10014340924